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STAR-GARCH models for stock market interactions in the Pacific Basin region, Japan and US
Busetti, Giorgio; Manera, Matteo - 2003
, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard … provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results …
Persistent link: https://www.econbiz.de/10011591386
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...
Persistent link: https://www.econbiz.de/10011598042
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How does stock market volatility react to oil shocks?
Bastianin, Andrea; Manera, Matteo - 2015 - Revised: June 2015
Persistent link: https://www.econbiz.de/10011765234